Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0139
Annualized Std Dev 0.2693
Annualized Sharpe (Rf=0%) -0.0515

Row

Daily Return Statistics

Close
Observations 5581.0000
NAs 1.0000
Minimum -0.1796
Quartile 1 -0.0074
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0082
Maximum 0.2602
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0170
Skewness 0.3564
Kurtosis 18.5537

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0126
Loss Deviation 0.0130
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.7906
Historical VaR (95%) -0.0256
Historical ES (95%) -0.0405
Modified VaR (95%) -0.0197
Modified ES (95%) -0.0197
From Trough To Depth Length To Trough Recovery
2000-03-21 2009-03-09 NA -0.7906 5277 2254 NA
1999-01-07 1999-03-10 2000-01-10 -0.2080 255 43 212
2000-01-18 2000-01-31 2000-02-16 -0.0695 22 10 12
2000-02-24 2000-03-02 2000-03-03 -0.0333 7 6 1
2000-03-06 2000-03-13 2000-03-16 -0.0258 9 6 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 -1.4 1 -0.9 0.9 1.8 -0.5 0.9 -0.9 -0.5 1 2.5 3.1
2000 0.4 -1.1 -1.1 2.2 2.6 0.9 0 0 0 0 2 0.7 6.6
2001 0.4 0.3 1.2 0.6 1.1 1.5 0.9 -1.2 -0.8 1.4 -0.1 -0.1 5
2002 -1.9 2.1 -1.3 0 0.8 -0.3 -3.9 0.2 0 3.2 1.2 2.3 2.2
2003 2.3 1.7 0.5 0 1.2 0.4 -3.8 0.5 2.2 0.1 3.5 -1.3 7.4
2004 -0.6 0.3 2.4 -1.6 0.7 -0.8 0.5 -1.2 1.9 0 2.8 -0.4 3.9
2005 0.3 1.1 -1.2 -0.1 1.3 -0.4 0.8 2.1 0 -0.6 1.1 -1.1 3.2
2006 1.1 1.5 -0.4 0.4 0.6 2 -0.7 1.7 -0.1 0.7 -0.8 -0.6 5.6
2007 -0.6 -2.3 0 -0.8 0.2 0.1 -1.1 2.4 1.2 -2.9 0.5 1.5 -2.1
2008 1.7 -3.3 2 1 0.5 -2 -0.3 1.1 -1.2 4.1 -4.7 0.6 -0.9
2009 -0.6 -1.5 0.2 2.7 2.9 1.9 -0.3 -2.9 -2.7 -3.8 1.3 0.3 -2.9
2010 2.4 1.3 1.7 -0.8 -1.1 2.5 -0.1 3.4 1.4 -0.5 1.4 1.2 13.6
2011 1.2 -0.9 0.2 0.9 -1.4 1.2 0.4 -1 -1.7 -2.7 0.2 0.2 -3.5
2012 2.8 0.7 1.8 0.5 -1.7 4.6 0.5 1.1 2.7 1.6 -0.3 1.3 16.6
2013 1.9 0.8 -0.6 0.1 -1.5 0.4 -0.3 0.3 0.9 -0.7 0.5 -1.7 0.1
2014 -1.2 0.6 0.9 0.4 0.7 1.2 -1 -0.2 -1.2 1 0.2 -0.2 1
2015 -0.9 -1.8 -1.4 0.6 -0.3 0.1 1.2 -1.6 -0.5 -1 0.2 -0.2 -5.5
2016 0.7 2.3 0.1 -0.4 0.4 -0.4 -0.8 0.1 0.9 0 -0.4 1.4 4.1
2017 0.5 1.8 0.4 0.1 0.3 -0.4 0.4 0.1 1.1 0.5 -0.6 -0.1 4.2
2018 -1.9 -0.9 0.2 -0.9 0.7 1.2 0.8 -0.8 -0.1 1.2 -0.7 -0.5 -1.8
2019 1 0.7 1.2 -0.4 -1.1 0 0 0.1 0 -0.2 -0.5 -1 -0.3
2020 -0.7 -3 -6.4 -2 1.6 1 -0.9 2.8 -2.4 0.8 2.7 -1.3 -7.9
2021 -0.2 0.9 0.8 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.3 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart